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R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 20 Nov 2010 22:53:40 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Nov/20/t129029353720m3wwa9zozyc5h.htm/, Retrieved Sat, 20 Nov 2010 23:52:18 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2010/Nov/20/t129029353720m3wwa9zozyc5h.htm/},
    year = {2010},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2010},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W11

Dataseries X:

» Textbox « » Textfile « » CSV «

20 25 15 15 25 25 25 21 30 25 20 40 13 30 25 20 25 20 25 20 20 15 15 12 20 5 20 15 25 22 20 22 25 20 20 35 30 25 20 20 20 25 25 15 20 35 25 25 30 23 10 22 25 25 22 30 20 25 25 22 25 25 25 22 25 12 18 20 20 22 30 25 22 20 50 30 25 20 30 22 25 30 22 25 22 22 25 25 25 20 22 15 20 30 20 25 30 35 22 12 30 15 10 30 9 25 20 20 35 25 35 30 12 25 15 25 25 20 20 6 15 40 20 40 25 25 20 15 15 22 24 22 20 25 25 25 35 40 20 22 22 20 25 25 18 25 20 25 30 20 22 35 22 25 25 25 25 22 23 35 15 25 18 22 25 25 28 30 20 25 25 30 22 30 10 10 25 20 22 25 25 15 22 25 25 28 22 30 25 20 25 25 20 30 20 30 50 19 20 28 20 25 35 25 25 15 16 20 20 25 30 20 25 25 25 20 20 25 25 30 22 20 25 25 18 18 20 25 25 30 25 20 25 20 20 20 22 18 22 20 15 25 25 20 25 15 22 25 25 15 12 25 30 22 15 22 25 etc...

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.1069	3.207	0.000694
2	0.113915	3.4175	0.00033
3	0.103096	3.0929	0.001022
4	0.028739	0.8622	0.194409
5	0.021977	0.6593	0.254935
6	0.037387	1.1216	0.131162
7	0.068263	2.0479	0.02043
8	0.023601	0.708	0.239559
9	0.003777	0.1133	0.454906
10	0.083533	2.506	0.006193
11	-0.030527	-0.9158	0.180005
12	0.004845	0.1453	0.442239
13	0.048816	1.4645	0.071704
14	-0.003598	-0.1079	0.457032
15	0.000439	0.0132	0.494749
16	0.008545	0.2563	0.398875
17	0.071603	2.1481	0.015986
18	-0.002002	-0.0601	0.476064
19	-0.035711	-1.0713	0.142151
20	0.028068	0.842	0.199997
21	-0.059778	-1.7933	0.036627
22	-0.050258	-1.5077	0.065986
23	0.046844	1.4053	0.080134
24	-0.051831	-1.5549	0.060158
25	-0.042627	-1.2788	0.100649
26	0.007521	0.2256	0.410764
27	-0.02255	-0.6765	0.249447
28	-0.00736	-0.2208	0.412654
29	-0.010015	-0.3004	0.381954

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.1069	3.207	0.000694
2	0.103672	3.1102	0.000964
3	0.082927	2.4878	0.006517
4	-2.3e-05	-7e-04	0.499726
5	0.000161	0.0048	0.498073
6	0.024874	0.7462	0.227861
7	0.060162	1.8048	0.035716
8	0.00489	0.1467	0.441706
9	-0.017283	-0.5185	0.302123
10	0.072437	2.1731	0.015016
11	-0.047958	-1.4387	0.075288
12	-0.003927	-0.1178	0.453127
13	0.041636	1.2491	0.105979
14	-0.010424	-0.3127	0.377283
15	-0.008396	-0.2519	0.40059
16	0.000624	0.0187	0.492537
17	0.068276	2.0483	0.020411
18	-0.012151	-0.3645	0.357774
19	-0.05088	-1.5264	0.063631
20	0.015294	0.4588	0.323232
21	-0.050244	-1.5073	0.066041
22	-0.040004	-1.2001	0.115205
23	0.055544	1.6663	0.047999
24	-0.047718	-1.4316	0.07631
25	-0.036867	-1.106	0.13451
26	0.021083	0.6325	0.263615
27	-0.018904	-0.5671	0.285382
28	0.014815	0.4444	0.328416
29	0.001974	0.0592	0.476391

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/20/t129029353720m3wwa9zozyc5h/10n6r1290293616.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t129029353720m3wwa9zozyc5h/10n6r1290293616.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t129029353720m3wwa9zozyc5h/2se5u1290293616.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t129029353720m3wwa9zozyc5h/2se5u1290293616.ps (open in new window)

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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